Founded in the 1930s as the Columbia University Concert Band, the Columbia University Wind Ensemble was first directed by Harwood Simmons, then the conductor of the Columbia University Orchestra. Notable alumni include Maxine Woods, former principal bassoonist with the Toronto Symphony, and Armando Ghitalla, former principal trumpeter with the Boston Symphony Orchestra. Notable guest conductors have included Edwin Franko Goldman and Karel Husa. The ensemble performed joint concerts with other University musical ensembles such as the MIT Concert Band, Queens College Wind Ensemble, Yale Concert Band and the Harvard Wind Ensemble, which was a sold-out performance at Carnegie Hall in 1965.

In 1998, former president Kenneth Cho revived the Columbia University Wind Ensemble under the direction of conductor Theodore "TJ" Perlick Molinari after finding that the former group had dissolved, leaving the university community with no outlet for serious wind music. Soon, the ensemble grew from a core membership of fifteen players to a full wind ensemble of almost forty musicians performing the standard wind ensemble repertoire.

In 2002, Andrew Pease entered as conductor and music director. Because of his dedicated work, Mr. Pease has increased the group's recognition throughout Columbia and New York City, and has allowed the ensemble to perform some of the most challenging wind ensemble repertoire. In addition, the executive board, comprised of all undergraduate students, works hard to complete the ensemble's administrative tasks and has advanced the musical and social environment of the ensemble.

In 2009, the Wind Ensemble produced two new programs: the Columbia Festival of Winds, an all-day concert promoting wind band performances, and Making Music Matter, a free music-education program at P.S. 125 funded in part by the Festival.

In 2013, Jason Noble became the new conductor and music director of the Wind Ensemble.

In 2014, the Wind Ensemble began a new partnership with the Musical Mentors Collaborative in order to mutually improve their abilities to provide music education.

In recent years, the Columbia University Wind Ensemble has grown to a full wind ensemble of almost sixty brass, woodwind, and percussion musicians. In 2006, they began the Teachers College Conducting Partnership, allowing a qualified TC student to serve as a guest conductor for one concert. The ensemble has also begun commissioning pieces, including Michael DiGiacinto's Soundscape (2006) and Erik Jorgen Jorgensen's Chaconne (2007). They also had the honor of the NYC premiere of Frank Ticheli's Nitro in March 2007. The ensemble has played at Merkin Hall, St. Paul's Chapel, Miller Theatre, Philosophy Hall, Roone Arledge Auditorium, and Yale's Woolsey Hall, and performed in joint concerts with other University ensembles such as the Yale Concert Band, MIT Concert Band, the Queens College Wind Ensemble, the Harvard Wind Ensemble, the Dartmouth Wind Symphony, and the Brown Wind Symphony.